[R] Multivariate time series

Giusy giemme81 at libero.it
Tue Nov 13 12:12:42 CET 2007


Hello to everyone, thank you for your answers, you are all very kind!
I'll have a look to the package you advised me.
Paul, I saw dse package, but I didn't understand how to use it..
For example, I have 2 sales series:

item_1	item_2		price_item1	price_item2
0	0		26,49	               49,99
0	1		26,49	               49,99
0	1		26,49	               49,99
3	0		26,49	               49,99
2	0		26,49	               49,99
1	1		26,49	               49,99
...         ...                         ...                         ....

What function can I use to have the model specified? And how can I insert
the price as regressors?
(I'm looking for a function like arimaId)
Thank you very much
Giusy



Paul Gilbert wrote:
> 
> Package dse does do linear, multivariate time series with multivariate 
> exogenous inputs, using VAR, multivariate ARMA, and state-space models, 
> just like you are describing. You can specify the model or have it 
> automatically determined. Perhaps you could give a few more details 
> about what you are looking for. (I assume you have looked at the dse 
> Users Guide distributed with the bundle, or some of the help, for 
> example ?estVARXls, ?bft, and ?forecast. Sections 6 and 7 of the guide 
> are about the prediction problem, very much like you describe.)
> 
> Paul
> 
> Giusy wrote:
>> Hello to everyone!
>> I have a question for you..I need to predict multivariate time series,
>> for
>> example sales of 2 products related one to the other, having the 2 prices
>> like inputs..
>> Is there in R a function to do it? I saw dse package but I didn't find
>> what
>> a I'm looking for..
>> Could anyone help me?
>> Thank you very much
>> Giusy
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